A note on the Runge-Kutta method for stochastic differential equations

Csaba Török

Commentationes Mathematicae Universitatis Carolinae (1992)

  • Volume: 33, Issue: 1, page 121-124
  • ISSN: 0010-2628

Abstract

top
In the paper the convergence of a mixed Runge--Kutta method of the first and second orders to a strong solution of the Ito stochastic differential equation is studied under a monotonicity condition.

How to cite

top

Török, Csaba. "A note on the Runge-Kutta method for stochastic differential equations." Commentationes Mathematicae Universitatis Carolinae 33.1 (1992): 121-124. <http://eudml.org/doc/247419>.

@article{Török1992,
abstract = {In the paper the convergence of a mixed Runge--Kutta method of the first and second orders to a strong solution of the Ito stochastic differential equation is studied under a monotonicity condition.},
author = {Török, Csaba},
journal = {Commentationes Mathematicae Universitatis Carolinae},
keywords = {stochastic differential equation; Runge--Kutta method; monotonicity and Lipschitz condition; convergence of a mixed Runge-Kutta method; stochastic differential equation; monotonicity condition},
language = {eng},
number = {1},
pages = {121-124},
publisher = {Charles University in Prague, Faculty of Mathematics and Physics},
title = {A note on the Runge-Kutta method for stochastic differential equations},
url = {http://eudml.org/doc/247419},
volume = {33},
year = {1992},
}

TY - JOUR
AU - Török, Csaba
TI - A note on the Runge-Kutta method for stochastic differential equations
JO - Commentationes Mathematicae Universitatis Carolinae
PY - 1992
PB - Charles University in Prague, Faculty of Mathematics and Physics
VL - 33
IS - 1
SP - 121
EP - 124
AB - In the paper the convergence of a mixed Runge--Kutta method of the first and second orders to a strong solution of the Ito stochastic differential equation is studied under a monotonicity condition.
LA - eng
KW - stochastic differential equation; Runge--Kutta method; monotonicity and Lipschitz condition; convergence of a mixed Runge-Kutta method; stochastic differential equation; monotonicity condition
UR - http://eudml.org/doc/247419
ER -

References

top
  1. Rümelin W., Numerical treatment of stochastic differential equations, SIAM J. Numer. Anal. 19 (1982), 604-613. (1982) MR0656474
  2. Aljushina L.A., Lomanyje Eulera dlja uravnenij Ito s monotonnymi koefficientami, Teor. Veroyatnost. i Primenen. 33 (1987), 367-373. (1987) 

NotesEmbed ?

top

You must be logged in to post comments.

To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.

Only the controls for the widget will be shown in your chosen language. Notes will be shown in their authored language.

Tells the widget how many notes to show per page. You can cycle through additional notes using the next and previous controls.

    
                

Note: Best practice suggests putting the JavaScript code just before the closing </body> tag.